It's not always impossible to track you through a proxy, either.
I used to pirate music, stuff that was mainly unavailable to my silly, underaged ass. Occasionally, I'd hunt for ROMs of games no longer published and practically impossible to find, for dead systems abandoned years before. But now I have credit cards, plus a conscience, and the world of online (and offline) entertainment shopping is vastly expanded compared to how it was when I was in middle and high school. I still feel bad about those thefts, though I see that they were quite minor. In the end, they served to expand my interest in many directions. I've bought many things alluded to and related to by my 'acquisitions.' But this pattern is probably not very common, and in any case... It was begun by depriving creatives of their just profits at my consumption of their properties.